Trouble with that theory is that there is no evidence of dark skin in the Scottish. They are as white as they come. Also, the Romans would not need to build a wall the breadth of the island to keep out some short people. The Romans were getting their buts handed to them on silver platters. They had to build a giant wall which got overrun and rebuilt numerous times.
My surname line comes from the Pictish area of Scotland. We held manors and some other buildings in areas that trace back to Pictish known history. Of course long after the Romans the Vikings did a number on the Pictish Kings, they certainly did not kill all the Picts. Mostly the Picts in the far north were wiped out.